Identifying Patterns in Financial Markets
New Approach Combining Rules Between PIPs and SAX
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Beschreibung
This book describes a new pattern discovery approach based on the combination among rules between Perceptually Important Points (PIPs) and the Symbolic Aggregate approximation (SAX) representation optimized by Genetic Algorithm (GA). The proposed approach was tested with real data from S&P500 index and all the results obtained outperform the Buy&Hold strategy. Three different case studies are presented by the authors.
Proposes a new methodology that has been tested with real data Approach combining multiple exit/sell methods namely time, price and pattern Suggests the use of a GA adaptive approach able to automatically identify multiple patterns and generate trading rules Includes supplementary material: sn.pub/extras
Autor*in
João Leitão
Themen in »Identifying Patterns in Financial Markets«
pattern discovery perceptually important points genetic algorithm investment rules SAX representation algorithm analysis and problem complexity quantitative finance